Term Structure of Interest Rates.Emergence of Power Laws and Scaling Laws

Thomas Alderweireld and Jean Nuyts
Additional contact information
Thomas Alderweireld: Universit\'e de Mons-Hainaut
Jean Nuyts: Universit\'e de Mons-Hainaut

Econometrics from University Library of Munich, Germany

Abstract: The technique of Pad\'e Approximants, introduced in a previous work, is applied to extended recent data on the distribution of variations of interest rates compiled by the Federal Reserve System in the US. It is shown that new power laws and new scaling laws emerge for any maturity not only as a function of the Lag but also as a function of the average inital rate. This is especially true for the one year maturity where critical forms and critical exponents are obtained. This suggests future work in the direction of constructing a theory of variations of interest rates at a more ``microscopic'' level.

Keywords: interest rates; scaling laws (search for similar items in EconPapers)
JEL-codes: B23 C51 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2003-06-02
Note: Type of Document - LaTex; prepared on IBM PC - Linux; to print on PostScript; pages: 22 ; figures: included
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/0306/0306001.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:0306001

Access Statistics for this paper

More papers in Econometrics from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ( this e-mail address is bad, please contact ).